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Modeling the interdependence of volatility and inter-transaction duration processes

Grammig, Joachim; Wellner, Marc - 1999

-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first … propose a GMM estimation procedure for the Autoregressive Conditional Duration model. The method is then extended to the … simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an …

Persistent link: https://www.econbiz.de/10009579173

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a...

Persistent link: https://www.econbiz.de/10009578026

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - 1999

Daily returns of financial assets are frequently found to exhibit positive autocorrelation at lag 1. When specifying a linear AR(l) conditional mean, one may ask how this predictability affects option prices. We investigate the dependence of option prices on autoregressive dynamics under...

Persistent link: https://www.econbiz.de/10009580460

Semiparametric diffusion estimation and application to a stock market index

Härdle, Wolfgang; Kleinow, Torsten; Korostelev, … - 2001

The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...

Persistent link: https://www.econbiz.de/10009613611